Add unit test, and correct bugs found

Author: slishak-PX

botorch/posteriors/multitask.py

@@ -228,7 +228,9 @@ def rsample_from_base_samples(
             train_diff.reshape(*train_diff.shape[:-2], -1) - updated_obs_samples
         )
         train_covar_plus_noise = self.train_train_covar + self.train_noise
-        obs_solve = _permute_solve(train_covar_plus_noise, obs_minus_samples)
+        obs_solve = _permute_solve(
+            train_covar_plus_noise, obs_minus_samples.unsqueeze(-1)
+        )
 
         # and multiply the test-observed matrix against the result of the solve
         updated_samples = self.test_train_covar.matmul(obs_solve).squeeze(-1)
@@ -290,7 +292,7 @@ def _draw_from_base_covar(
         return res.squeeze(-1)
 
 
-def _permute_solve(A: LinearOperator, b: LinearOperator) -> LinearOperator:
+def _permute_solve(A: LinearOperator, b: Tensor) -> LinearOperator:
     r"""Solve the batched linear system AX = b, where b is a batched column
     vector. The solve is carried out after permuting the largest batch
     dimension of b to the final position, which results in a more efficient
@@ -302,24 +304,23 @@ def _permute_solve(A: LinearOperator, b: LinearOperator) -> LinearOperator:
 
     Args:
         A: LinearOperator of shape (n, n)
-        b: LinearOperator of shape (..., n, 1)
+        b: Tensor of shape (..., n, 1)
 
     Returns:
         LinearOperator of shape (..., n, 1)
     """
     # permute dimensions to move largest batch dimension to the end (more efficient
     # than unsqueezing)
-    largest_batch_dim, _ = max(enumerate(b.shape[:-1]), key=lambda t: t[0])
     perm = list(range(b.ndim))
-    perm.remove(largest_batch_dim)
-    perm.append(largest_batch_dim)
+    if b.ndim > 2:
+        largest_batch_dim, _ = max(enumerate(b.shape[:-2]), key=lambda t: t[1])
+        perm[-1], perm[largest_batch_dim] = perm[largest_batch_dim], perm[-1]
     b_p = b.permute(*perm)
 
-    # solve
     x_p = A.solve(b_p)
 
     # Undo permutation
     inverse_perm = torch.argsort(torch.tensor(perm))
-    x = x_p.permute(*inverse_perm).unsqueeze(-1)
+    x = x_p.permute(*inverse_perm)
 
     return x

test/posteriors/test_multitask.py

@@ -8,9 +8,10 @@
 import torch
 from botorch.exceptions.errors import BotorchTensorDimensionError
 from botorch.models.multitask import KroneckerMultiTaskGP
-from botorch.posteriors.multitask import MultitaskGPPosterior
+from botorch.posteriors.multitask import MultitaskGPPosterior, _permute_solve
 from botorch.sampling.normal import IIDNormalSampler
 from botorch.utils.testing import BotorchTestCase
+from linear_operator.operators import to_linear_operator
 
 
 def get_posterior_test_cases(
@@ -41,7 +42,6 @@ def get_posterior_test_cases(
 
 
 class TestMultitaskGPPosterior(BotorchTestCase):
-
     def _test_MultitaskGPPosterior(self, dtype: torch.dtype) -> None:
         post_list = get_posterior_test_cases(device=self.device, dtype=dtype)
         sample_shaping = torch.Size([5, 3])
@@ -189,3 +189,23 @@ def test_draw_from_base_covar(self):
         base_samples = torch.randn(4, 10, 1, device=self.device)
         with self.assertRaises(RuntimeError):
             res = posterior._draw_from_base_covar(sym_mat, base_samples)
+
+
+class TestPermuteSolve(BotorchTestCase):
+    def test_permute_solve_tensor(self):
+        # Random PSD matrix
+        a = torch.randn(32, 32, device=self.device, dtype=torch.float64)
+        A = torch.mm(a, a.t())
+
+        # Random batched column vector
+        b = torch.randn(4, 1, 32, 1, device=self.device, dtype=torch.float64)
+
+        # Compare results of permuted and standard solve
+        x_1 = _permute_solve(to_linear_operator(A), b)
+        x_2 = torch.linalg.solve(A, b)
+        self.assertAllClose(x_1, x_2)
+
+        # Ensure also works if b is not batched
+        x_1 = _permute_solve(to_linear_operator(A), b[0, 0, :, :])
+        x_2 = torch.linalg.solve(A, b[0, 0, :, :])
+        self.assertAllClose(x_1, x_2)